| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,050.59% | 394.26% |
| CAGR﹪ | 15.21% | 9.71% |
| Sharpe | 1.06 | 1.31 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.94 | 1.15 |
| Sortino | 1.79 | 2.66 |
| Smart Sortino | 1.58 | 2.34 |
| Sortino/√2 | 1.26 | 1.88 |
| Smart Sortino/√2 | 1.11 | 1.66 |
| Omega | 2.17 | 2.74 |
| Max Drawdown | -23.93% | -5.09% |
| Max DD Date | 2022-09-30 | 2015-12-31 |
| Max DD Period Start | 2022-01-31 | 2015-02-28 |
| Max DD Period End | 2023-11-30 | 2016-05-31 |
| Longest DD Days | 669 | 609 |
| Volatility (ann.) | 14.35% | 7.31% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.64 | 1.91 |
| Skew | -0.34 | 0.31 |
| Kurtosis | 0.52 | 0.72 |
| Ulcer Performance Index | 192.13 | 215.19 |
| Risk-Adjusted Return | 1856.83% | 599.54% |
| Risk-Return Ratio | 0.31 | 0.38 |
| Avg. Return | 1.28% | 0.81% |
| Avg. Win | 3.52% | 1.88% |
| Avg. Loss | -3.12% | -1.91% |
| Win/Loss Ratio | 1.13 | 0.98 |
| Profit Ratio | 0.45 | 0.48 |
| Expected Daily | 1.19% | 0.77% |
| Expected Monthly | 1.19% | 0.77% |
| Expected Yearly | 14.54% | 9.28% |
| Kelly Criterion | 40.44% | 40.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.54% | -2.67% |
| Expected Shortfall (cVaR) | -7.65% | -3.38% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 1.17 | 1.74 |
| Gain/Pain (1M) | 1.17 | 1.74 |
| Payoff Ratio | 1.13 | 0.98 |
| Profit Factor | 2.17 | 2.74 |
| Common Sense Ratio | 2.62 | 5.41 |
| CPC Index | 1.67 | 1.9 |
| Tail Ratio | 1.21 | 1.97 |
| Outlier Win Ratio | 3.15 | 3.68 |
| Outlier Loss Ratio | 2.54 | 2.79 |
| MTD | -1.05% | -3.25% |
| 3M | 13.91% | 0.85% |
| 6M | 8.94% | 7.91% |
| YTD | 8.94% | 7.91% |
| 1Y | 20.92% | 22.02% |
| 3Y (ann.) | 18.77% | 11.75% |
| 5Y (ann.) | 12.51% | 8.22% |
| 10Y (ann.) | 15.13% | 9.33% |
| All-time (ann.) | 15.21% | 9.71% |
| Best Day | 12.7% | 7.49% |
| Worst Day | -12.49% | -4.7% |
| Best Month | 12.7% | 7.49% |
| Worst Month | -12.49% | -4.7% |
| Best Year | 32.31% | 21.86% |
| Worst Year | -18.18% | -1.85% |
| Avg. Drawdown | -5.37% | -2.51% |
| Avg. Drawdown Days | 66 | 92 |
| Recovery Factor | 11.01 | 32.41 |
| Ulcer Index | 0.05 | 0.02 |
| Serenity Index | 13.23 | 43.65 |
| Avg. Up Month | 3.52% | 1.88% |
| Avg. Down Month | -3.12% | -1.91% |
| Win Days | 68.45% | 70.53% |
| Win Month | 68.45% | 70.53% |
| Win Quarter | 78.57% | 72.86% |
| Win Year | 88.89% | 88.89% |
| Beta | - | 0.23 |
| Alpha | - | 0.06 |
| Correlation | - | 44.92% |
| Treynor Ratio | - | 1722.94% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 29.50 | 21.86 | 0.74 | - |
| 2010 | 15.06 | 15.78 | 1.05 | + |
| 2011 | 1.89 | 8.31 | 4.39 | + |
| 2012 | 15.99 | 4.79 | 0.30 | - |
| 2013 | 32.31 | 10.03 | 0.31 | - |
| 2014 | 13.46 | 7.14 | 0.53 | - |
| 2015 | 1.23 | -1.85 | -1.50 | - |
| 2016 | 12.00 | 5.59 | 0.47 | - |
| 2017 | 21.71 | 15.36 | 0.71 | - |
| 2018 | -4.57 | 2.66 | -0.58 | + |
| 2019 | 31.22 | 10.66 | 0.34 | - |
| 2020 | 18.33 | 16.45 | 0.90 | - |
| 2021 | 28.73 | 12.15 | 0.42 | - |
| 2022 | -18.18 | -0.69 | 0.04 | + |
| 2023 | 26.18 | 5.30 | 0.20 | - |
| 2024 | 24.89 | 10.48 | 0.42 | - |
| 2025 | 17.72 | 18.41 | 1.04 | + |
| 2026 | 8.94 | 7.91 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-02-28 | 2016-05-31 | -5.09 | 459 |
| 2011-05-31 | 2011-12-31 | -4.84 | 215 |
| 2010-05-31 | 2010-09-30 | -4.70 | 123 |
| 2010-01-31 | 2010-02-28 | -4.58 | 29 |
| 2026-06-30 | 2026-07-31 | -4.51 | 32 |
| 2026-03-31 | 2026-04-30 | -4.41 | 31 |
| 2023-08-31 | 2024-02-29 | -4.30 | 183 |
| 2016-08-31 | 2017-02-28 | -4.11 | 182 |
| 2020-09-30 | 2020-10-31 | -4.00 | 32 |
| 2018-02-28 | 2018-07-31 | -3.24 | 154 |